1. Make horseradish dipping sauce by combining ingredients in a medium bowl with a whisk. 2. Mix until creamy then cover and chill the sauce. 3. Heat the shortening to 350 degrees in a deep fryer. 4. Slice the stem end and the root end off onion, then, with the onion resting on a flat side, cut down through the onion, slicing it in half. 5. Slice each half 4 to 5 more times in a spoke fashion to create wedges of onion. 6. Separate the onion pieces. 7. Create batter by combining all dry ingredients in a medium bowl. 8. Whisk in milk until batter is smooth then let the batter sit for 5 minutes. 9. It should thicken. 10. Whisk batter again. 11. When oil is hot dip each onion piece in the batter, let some of the batter drip off then drop the coated onion piece carefully into the hot oil. 12. Repeat, frying 8 to 12 at a time for 1 to 2 minutes or until light brown. 13. Drain on a rack or paper towels. 14. Repeat until the onion is used up, stacking the newer batches on top of the old ones to keep them warm. 15. When they're all done, serve the fried onion slices on a plate or in a paper-lined basket with horseradish dipping sauce on the side.